The pricing kernel puzzle: survey and outlook

DOI10.1007/S10436-017-0317-9MaRDI QIDQ1669867zbMATH OpenOpenAlexFDO

Authors Horatio Cuesdeanu, Jens Carsten Jackwerth

Publication date 4 September 2018

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL http://nbn-resolving.de/urn:nbn:de:bsz:352-2-zjiaa35xt307

zbMATH Keywords

optionsstochastic discount factorpricing kernel puzzleS\&P 500

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

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• The pricing kernel puzzle: survey and outlook
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
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• Time Dependent Relative Risk Aversion
• What is the expected return on the market?

Cited in

(9)

• Empirical reverse engineering of the pricing kernel.
• Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
• The pricing kernel puzzle: survey and outlook
• Three solutions to the pricing kernel puzzle
• Reference-dependent preferences and the empirical pricing kernel puzzle
• Estimating time-varying risk aversion from option prices and realized returns
• The pricing kernel puzzle in forward looking data
• A note on Stein's overreaction puzzle
• Measure preserving derivatives and the pricing kernel puzzle

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